A location-invariant probability weighted moment estimation of the Extreme Value Index
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Publication:2804923
DOI10.1080/00207160.2014.975217zbMath1338.62148MaRDI QIDQ2804923
M. Ivette Gomes, Lígia Henriques-Rodrigues, Frederico Caeiro
Publication date: 6 May 2016
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2014.975217
asymptotic properties; Monte Carlo simulation; heavy tails; extreme value index; statistics of extremes; adaptive semiparametric estimation; bootstrap methodology; location/scale-invariant estimation
62E20: Asymptotic distribution theory in statistics
62G32: Statistics of extreme values; tail inference
65C05: Monte Carlo methods